triCalculate XVA calculations: case studies

Client challenges and solution

Client challenges

Case 1

Client Type

Leading regional bank

Existing XVA support

In house

End user

Fixed income desk responsible for the Bank’s XVA book

Our client, who manages rates volatility and the bank’s XVA book from within the fixed income desk, required fast and efficient calculations in order to check valuation adjustments for pricing/hedging new deals. On top of this, our client uses total portfolio XVA for accounting and reporting purposes.

Before using triCalculate, the Bank was running XVA calculations in house which was time consuming. They have kept their internal calculation but use our service as a reliable benchmark in order to cross reference the numbers. They also benefit from the speed of our service when required to make quick trading decisions on pricing new deals. They found that relying on running the calculations manually in house using a spreadsheet produced numerous inconsistencies and was becoming an operational risk. They have now been using the service for more than three years and are very happy with the support and results they have received.


Case 2

Client Type

Regional bank

Existing XVA support

Alternative vendor installed software

End user

XVA desk with a focus on derivatives pricing

Our client manages the XVA desk, with special focus on derivatives pricing, including XVA adjustments. The client needed a fast and reliable source of XVA calculations (especially pre-deal checks) and the ability to calculate overnight CVA/DVA. The existing vendor solution was unable to handle the pre-deal checks fast enough.

The client wanted to switch to a solution which offered accurate and efficient pre-deal checks with as little disruption to the business as possible, they understood a switch to our solution would be smooth and well supported.


Case 3

Client Type

Asset manager

Existing XVA support

Vendor solution

End user

Counterparty risk manager

The client is the Counterparty Risk Manager in need of a future-proof solution for the ISDA SIMM calculation, as required under the uncleared margin rules (UMR) regulation. Additionally, the client needed to calculate pre-settlement exposure (PFE) daily, which they used as an input to determine trading availability per bilateral OTC counterparty.

The client’s existing vendor was only able to provide PFE calculations and not IM calculations.


Case 4

Client Type

Regional bank

Existing XVA support

In house

End user

Risk management office

The client is part of the Bank’s risk management office and in need of CVA/DVA calculations for accountancy purposes. They had not previously calculated XVA and needed a fast and reliable solution, with no ongoing maintenance required.

Solution

These firms made the decision to use triCalculate for their XVA and PFE calculations, as the service provides a sophisticated, easy-to-use, web-based solution that automates the XVA calculation process and feeds the calculation results directly into a firm’s reporting mechanisms.

The streamlined onboarding was fast and smooth, minimizing the impact on the business, and a case manager was assigned to handle any issues. triCalculate undertook all of the data mapping, ensuring that the firms existing data file formats could be uploaded directly via the API or via SFTP, giving the clients the option to fully automate the process without having to dedicate time on transforming the data into a specified file format.

All clients benefited from having full transparency into XVAs, exposure profiles including expected exposures and expected IM and, if applicable, they can see the impact on these from pre-deal decisions. Within the interactive GUI, the client can see these results graphically and utilize triCalculate’s drill-down capabilities to investigate key attributors to the results.

triCalculate is a flexible, pay-as-you-go solution which can cater to wide variety of use cases. The Valuation Analytics team provides 24/5 support in overseeing site functionality, interpreting new trades and providing answers to any calculation queries.

Questions?

To learn more about triCalculate XVA, email info@trioptima.com or contact your local TriOptima office.

triCalculate XVA Calculations

The centralized triCalculate service provides XVA risk calculations for OTC derivatives using transparent, consistent models across a range of trade types, asset classes and business units. Valuation adjustments calculations are available across credit, debt, funding, margin, capital and collateral for bilateral OTC derivatives.

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